mvtnorm: Mvt – R documentation

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Mvt

The Multivariate t Distribution

Description

These functions provide information about the multivariate t distribution with non-centrality parameter (or mode) delta, scale matrix sigma and degrees of freedom df. dmvt gives the density and rmvt generates random deviates.

Usage

rmvt(n, sigma = diag(2), df = 1, delta = rep(0, nrow(sigma)),
     type = c("shifted", "Kshirsagar"), ...)
dmvt(x, delta = rep(0, p), sigma = diag(p), df = 1, log = TRUE,
     type = "shifted", checkSymmetry = TRUE)

Arguments

`x`	vector or matrix of quantiles. If `x` is a matrix, each row is taken to be a quantile.
`n`	number of observations.
`delta`	the vector of noncentrality parameters of length n, for `type = "shifted"` delta specifies the mode.
`sigma`	scale matrix, defaults to `diag(ncol(x))`.
`df`	degrees of freedom. `df = 0` or `df = Inf` corresponds to the multivariate normal distribution.
`log`	`logical` indicating whether densities d are given as log(d).
`type`	type of the noncentral multivariate t distribution. `type = "Kshirsagar"` corresponds to formula (1.4) in Genz and Bretz (2009) (see also Chapter 5.1 in Kotz and Nadarajah (2004)). This is the noncentral t-distribution needed for calculating the power of multiple contrast tests under a normality assumption. `type = "shifted"` corresponds to the formula right before formula (1.4) in Genz and Bretz (2009) (see also formula (1.1) in Kotz and Nadarajah (2004)). It is a location shifted version of the central t-distribution. This noncentral multivariate t distribution appears for example as the Bayesian posterior distribution for the regression coefficients in a linear regression. In the central case both types coincide. Note that the defaults differ from the default in `pmvt()` (for reasons of backward compatibility).
`checkSymmetry`	logical; if `FALSE`, skip checking whether the covariance matrix is symmetric or not. This will speed up the computation but may cause unexpected outputs when ill-behaved `sigma` is provided. The default value is `TRUE`.
`...`	additional arguments to `rmvnorm()`, for example `method`.

Details

If X denotes a random vector following a t distribution with location vector 0 and scale matrix Sigma (written X ~ t_nu(0, Sigma)), the scale matrix (the argument sigma) is not equal to the covariance matrix Cov(X) of X. If the degrees of freedom nu (the argument df) is larger than 2, then Cov(X)=Sigma nu/(nu-2). Furthermore, in this case the correlation matrix Cor(X) equals the correlation matrix corresponding to the scale matrix Sigma (which can be computed with cov2cor()). Note that the scale matrix is sometimes referred to as “dispersion matrix”; see McNeil, Frey, Embrechts (2005, p. 74).

For type = "shifted" the density

c(1+(x-δ)'S^{-1}(x-δ)/ν)^{-(ν+m)/2}

is implemented, where

c = Γ((ν+m)/2)/((π ν)^{m/2}Γ(ν/2)|S|^{1/2}),

S is a positive definite symmetric matrix (the matrix sigma above), delta is the non-centrality vector and nu are the degrees of freedom.

df=0 historically leads to the multivariate normal distribution. From a mathematical point of view, rather df=Inf corresponds to the multivariate normal distribution. This is (now) also allowed for rmvt() and dmvt().

Note that dmvt() has default log = TRUE, whereas dmvnorm() has default log = FALSE.

References

McNeil, A. J., Frey, R., and Embrechts, P. (2005). Quantitative Risk Management: Concepts, Techniques, Tools. Princeton University Press.

Examples

## basic evaluation
dmvt(x = c(0,0), sigma = diag(2))

## check behavior for df=0 and df=Inf
x <- c(1.23, 4.56)
mu <- 1:2
Sigma <- diag(2)
x0 <- dmvt(x, delta = mu, sigma = Sigma, df = 0) # default log = TRUE!
x8 <- dmvt(x, delta = mu, sigma = Sigma, df = Inf) # default log = TRUE!
xn <- dmvnorm(x, mean = mu, sigma = Sigma, log = TRUE)
stopifnot(identical(x0, x8), identical(x0, xn))

## X ~ t_3(0, diag(2))
x <- rmvt(100, sigma = diag(2), df = 3) # t_3(0, diag(2)) sample
plot(x)

## X ~ t_3(mu, Sigma)
n <- 1000
mu <- 1:2
Sigma <- matrix(c(4, 2, 2, 3), ncol=2)
set.seed(271)
x <- rep(mu, each=n) + rmvt(n, sigma=Sigma, df=3)
plot(x)

## Note that the call rmvt(n, mean=mu, sigma=Sigma, df=3) does *not*
## give a valid sample from t_3(mu, Sigma)! [and thus throws an error]
try(rmvt(n, mean=mu, sigma=Sigma, df=3))

## df=Inf correctly samples from a multivariate normal distribution
set.seed(271)
x <- rep(mu, each=n) + rmvt(n, sigma=Sigma, df=Inf)
set.seed(271)
x. <- rmvnorm(n, mean=mu, sigma=Sigma)
stopifnot(identical(x, x.))

mvtnorm

Multivariate Normal and t Distributions

v1.1-1

GPL-2

Authors

Alan Genz [aut], Frank Bretz [aut], Tetsuhisa Miwa [aut], Xuefei Mi [aut], Friedrich Leisch [ctb], Fabian Scheipl [ctb], Bjoern Bornkamp [ctb] (<https://orcid.org/0000-0002-6294-8185>), Martin Maechler [ctb], Torsten Hothorn [aut, cre] (<https://orcid.org/0000-0001-8301-0471>)

Initial release

2020-06-09

Mvt